Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1749 |
| Annualized Std Dev | 0.2509 |
| Annualized Sharpe (Rf=0%) | 0.6972 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3697.0000 |
| NAs | 1.0000 |
| Minimum | -0.1193 |
| Quartile 1 | -0.0065 |
| Median | 0.0014 |
| Arithmetic Mean | 0.0008 |
| Geometric Mean | 0.0006 |
| Quartile 3 | 0.0089 |
| Maximum | 0.1142 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0003 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.2433 |
| Kurtosis | 5.3107 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0158 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6161 |
| Historical VaR (95%) | -0.0254 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0246 |
| Modified ES (95%) | -0.0431 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-15 | 2008-11-20 | 2010-04-14 | -0.6161 | 629 | 280 | 349 |
| 2020-02-21 | 2020-03-16 | 2020-05-08 | -0.3053 | 55 | 17 | 38 |
| 2018-07-26 | 2018-12-24 | 2019-04-26 | -0.2739 | 189 | 105 | 84 |
| 2011-07-08 | 2011-10-03 | 2012-09-13 | -0.2604 | 300 | 61 | 239 |
| 2015-12-02 | 2016-02-09 | 2016-07-28 | -0.2579 | 165 | 47 | 118 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 1.7 | -1 | 0.6 | 0 | -2.2 | -2.7 | -0.8 | -4.3 |
| 2007 | 0.3 | -0.6 | -0.1 | -0.3 | -0.1 | -0.3 | -0.8 | 1.4 | 1.6 | -2.1 | 0.8 | -0.9 | -1.1 |
| 2008 | 7.2 | -2.4 | 4 | 1.2 | 0.1 | 0.3 | -0.4 | -1.9 | -1.5 | 0.6 | -6.6 | 2.6 | 2.6 |
| 2009 | -0.6 | 0.2 | 1.7 | 1.3 | 2.9 | 0.6 | 0.1 | -2.5 | -2.7 | -2.7 | 1.3 | -1.1 | -1.7 |
| 2010 | 0.7 | 2.8 | -0.2 | -2.3 | -2.7 | 0 | 0.2 | 3.7 | -0.6 | -1 | 1.9 | -0.7 | 1.8 |
| 2011 | 1.8 | -1.6 | 0.6 | 0.6 | -2.5 | 1.5 | -0.7 | -1.6 | -3.1 | -3 | 0.3 | -0.3 | -7.9 |
| 2012 | 1.1 | 0.9 | -0.6 | 0 | -2.7 | 3.6 | -1.1 | 0.7 | 0.1 | 1.5 | -0.2 | 1.8 | 5.1 |
| 2013 | 0.8 | 0.9 | -0.9 | -0.5 | -0.5 | 1.3 | 1.9 | -0.5 | 1.6 | -0.1 | 0.5 | 1 | 5.8 |
| 2014 | -1 | -1.1 | 2.3 | 1.4 | -1 | 1.5 | -0.4 | 0.6 | -1.9 | 2.5 | -2 | -0.6 | 0.2 |
| 2015 | 0.4 | -1 | -0.7 | 0.1 | 0.3 | 0.4 | -0.1 | -3.3 | 0.6 | 0.3 | 1.3 | -1.2 | -2.9 |
| 2016 | 1.2 | 3.1 | 0.7 | 0.9 | 0.5 | 0.7 | 0.5 | 0.1 | 0.7 | -0.9 | -1.9 | -0.9 | 4.7 |
| 2017 | 0 | 1.6 | -0.1 | 1.1 | 1.3 | 0.1 | 0.1 | 0 | 0.8 | -0.1 | -0.4 | -0.7 | 3.7 |
| 2018 | 0 | -1.1 | 2.3 | 0.6 | 1.7 | -0.2 | 0.7 | -0.1 | -0.7 | 1.6 | 0.7 | 0.8 | 6.6 |
| 2019 | 0.1 | 0.9 | 1.6 | -0.9 | -1.3 | 0.9 | -0.9 | -0.4 | -2 | 0.2 | -0.4 | 0.5 | -1.9 |
| 2020 | -1.4 | 0.4 | -4 | -3 | 1.3 | 2.3 | 1.7 | 3.2 | 1.9 | -3.9 | -0.1 | -0.3 | -2.3 |
| 2021 | 2.7 | 3.3 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-23 20.5 SPY 124. -2.00e-4 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
2 2006-06-26 20.8 SPY 125. 4.40e-3 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
3 2006-06-27 20.9 SPY 124. -8.60e-3 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
4 2006-06-29 20.9 SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
5 2006-06-30 21.2 SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
6 2006-07-03 21.3 SPY 128. 4.50e-3 0.0225 -0.00930 -0.0149 0.0692 0.281 0.0514 GLD 62.2 0.0155 0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
